Special Topics in Operations Research and Financial Engineering - Stochastic Methods for Quantitative Finance
This course is an introduction to stochastic calculus at the undergraduate level with applications to financial models. The emphasis is on computational and practical techniques. topics include: Brownian motion: Ito's formula: stochastic differential equations: partial differential equations: Girsanov's theorem: optimal stopping: simulations and finite difference numerical methods: applications in finance: implementation in Matlab.
Sample reading list:
T. Mikosch, Elementary Stochastic Calculus
M. Baxter and A. Rennie, Financial Calculus: An Introduction to Derivative Pricing
G. F Lawler, Introduction to Stochastic Processes
F.E Benth, Option Theory with Stochastic Analysis
A. Etheridge, A Course in Financial Calculus
Homework due weekly
Mid Term Exam - 20%
Final Exam - 40%
Problem set(s) - 40%
Not Open to Freshmen.
Prerequisites and Restrictions:
|20474||L01||1:30 pm - 2:50 pm||M W||Friend Center 205||Enrolled:13 Limit:15|